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- Q4976525 subject Q8458366.
- Q4976525 subject Q8639529.
- Q4976525 abstract "The Brownian motion models for financial markets are based on the work of Robert C. Merton and Paul A. Samuelson, as extensions to the one-period market models of Harold Markowitz and William F. Sharpe, and are concerned with defining the concepts of financial assets and markets, portfolios, gains and wealth in terms of continuous-time stochastic processes.Under this model, these assets have continuous prices evolving continuously in time and are driven by Brownian motion processes. This model requires an assumption of perfectly divisible assets and a frictionless market (i.e. that no transaction costs occur either for buying or selling). Another assumption is that asset prices have no jumps, that is there are no surprises in the market. This last assumption is removed in jump diffusion models.".
- Q4976525 wikiPageExternalLink Merton1971.pdf.
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- Q4976525 wikiPageWikiLink Q8458366.
- Q4976525 wikiPageWikiLink Q854623.
- Q4976525 wikiPageWikiLink Q8639529.
- Q4976525 comment "The Brownian motion models for financial markets are based on the work of Robert C. Merton and Paul A. Samuelson, as extensions to the one-period market models of Harold Markowitz and William F. Sharpe, and are concerned with defining the concepts of financial assets and markets, portfolios, gains and wealth in terms of continuous-time stochastic processes.Under this model, these assets have continuous prices evolving continuously in time and are driven by Brownian motion processes.".
- Q4976525 label "Brownian model of financial markets".